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dc.contributor.advisorWesterfeld, Simone
dc.contributor.authorAlagöz, Fikret
dc.contributor.otherFirma: prechperson| Kontakt: Katja NachName Ansprechperson| PLZ/ Ort: 4053 Basel
dc.date.accessioned2015-09-02T07:33:48Z
dc.date.available2015-09-02T07:33:48Z
dc.date.issued2012
dc.identifier.urihttp://hdl.handle.net/11654/4872
dc.identifier.urihttp://dx.doi.org/10.26041/fhnw-2683
dc.description.abstractThe relationship of CDS spreads and Credit spreads: A comparison before and after the financial crisis
dc.language.isoen_UK
dc.subjectCDS spread
dc.subjectCredit spread
dc.subjectfinancial crisis
dc.subjectrelationship
dc.subject.ddc658 - General Management
dc.subject.ddc330 - Wirtschaft
dc.titleThe relationship of CDS spreads and Credit spreads - A comparison before and after the financial crisis
dc.type11 - Studentische Arbeit
dc.audienceSonstige
fhnw.StudentsWorkTypeBachelor
fhnw.publicationStateUnveröffentlicht
fhnw.ReviewTypeKein Peer Review
fhnw.InventedHereYes
fhnw.ConfidentLevelAnonymous (alle)
fhnw.leadThe relationship of CDS spreads and Credit spreads: A comparison before and after the financial crisis
fhnw.initialPositionCDS spreads and Credit spreads of bonds are both indicators of default risk but traded in different markets. Accordingly, it can be assumed that the CDS spread and credit spread show a similar behavior The overall objective of this thesis is to find out the relationship between the CDS market and the underlying bond market. Furthermore, the analysis compares the period before and after the outbreak of the financial crisis in 2008.
fhnw.procedureIn a first step, an overview of CDS spreads and Credit spreads is demonstrated with some important information to understand the topic. Secondly, figures that are used and analyzed are illustrated in the section data description followed by some descriptive statistics. In a next step, a correlation and a regression analysis are conducted in order to find out the relationship between the two. Finally, a summary indicates the major findings as well as some recommendations for future analysis.
fhnw.resultsCDS spreads and Credit spreads show a stable development prior the financial crisis. Furthermore, the CDS-Bond basis is mainly positive prior the crisis and mainly negative afterwards. CDS spreads and Credit spreads are not highly correlated. Additionally, changes in CDS spreads are rarely explained by changes in Credit spreads. Further findings of the regression analyses is that CDS spreads became more sensitive to Credit spread changes after the financial crisis. Finally, CDS spreads overestimated the default risk prior the crisis and underestimated it afterwards.
fhnw.IsStudentsWorkYes


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